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Roll update

EQUITIES
  • Equity rolls, December is still front Month in Europe, but by very little in terms of most active.
  • Looking at option Expiry for the US (Emini) for Friday, and most of the OIS are at ITM 4600 strikes, and that's for Put and call, but overall it is still on the lower side.
  • Other potential impact are single stocks expiry, nut not yet heard of any standout flows.

ROLL PACE:

  • S&P: 76%
  • NQA: 66%
  • DOW: 73%
  • Estoxx: 57%
  • DAX: 50% (good pick up in pace)
  • FTSE: 73%

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